Usage: |
myfit = glmmultlo(x,y{,opt})
|
Input: |
| x | n x r matrix, the predictor variables.
Individual-specific variables form single
columns of x. Alternative-specific variables
must be evaluated for each alternative and
are to be stored in blocks of m subsequent
columns. The optional parameters opt.indiv
and opt.alter define which columns belong
to which group. Without these optional
parameters, all columns of x are interpreted
as individual-specific.
|
| y | n x 1 vector or n x m matrix. If y is vector
(numeric or string), the different
realizations are considered to be the
alternatives. If y is matrix, it should
contain 0/1 dummies, with 1 in the j-th column
indicating that alternative j (in 1 ... m) has
been chosen.
|
| opt | optional, a list with optional input.
"glmopt" can be used to set up this parameter.
The order of the list elements is not important.
|
| opt.shf | integer, if exists and =1, some output is produced
which indicates how the iteration is going on.
|
| opt.miter | integer, maximal number of iterations. The default
is 10.
|
| opt.cnv | scalar, convergence criterion. The default is 0.0001.
|
| opt.indiv | indices of columns of x (=variables) which are
individual-specific, i.e. which are constant
over alternatives. If neither opt.indiv and
opt.alter are given, the model is estimated as
if opt.indiv=1:r. Otherwise, the default is
empty.
|
| opt.alter | indices of columns of x (=variables) which are
alternative-specific, i.e. which vary over
the alternatives (and eventually individuals).
x[,opt.alter] should have a multiple of m
columns, i.e. contain subsequent realizations
for each of the alternatives. The default is empty.
|
Output: |
| myfit | list with the components b, bv, and stat: |
| b.indiv | p x m vector, estimated coefficients
corresponding to individual-specific variables.
The first column is zero. |
| b.alter | q x 1 vector, estimated coefficients corresponding
to alternative-specific variables. |
| bv.indiv | (p*m) x (p*m) matrix, estimated covariance
for b.indiv, matrix of p x p blocks. |
| bv.alter | q x q matrix, estimated covariance for b.alter. |
| bv.mixed | (p*m) x q matrix, estimated mixed covariances
between b.alter and b.indiv, vector of p x q
blocks. |
| mu | n x m vector, estimated response mu=P(y=j)
corresponding to alternatives 1 ... m of y. |
| stat | list with the following statistics: |
| stat.serror | standard errors, list containing components
indiv and/or alter, respectively. |
| stat.tvalues | t-values, list containing components
indiv and/or alter, respectively. |
| stat.pvalues | p-values, list containing components
indiv and/or alter, respectively. |
| stat.deviance | deviance, |
| stat.loglik | log-likelihood, |
| stat.r2 | (pseudo) R^2. |
| stat.adr2 | adjusted (pseudo) R^2. |
| stat.it | scalar, number of iterations needed |
| stat.ret | scalar, return code:
0 o.k.,
1 maximal number of iterations reached,
-1 missing values have been encountered. |